Study: Buy BHEL when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BHEL when near 200 SMA and above 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy BHEL at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-23904.9948153331.254241.3816018.55-2652.29-10564.161.60.73-0.022-498.02
2-48106.0948183037.55150.9118694.26-4694.08-27295.351.10.66-0.028-1002.21
3-59819.848192939.585108.4715869.4-5409.68-18058.630.940.62-0.038-1246.25
4-68316.3448212743.755249.3317152.56-6613.05-21764.380.790.62-0.036-1423.26
5-13909248183037.56751.6116394.75-8687.37-35951.330.780.47-0.059-2897.75
6-12131648212743.758118.522801.43-10807.57-34430.310.750.58-0.044-2527.42
7-16494648202841.678075.7915826.64-11659.33-30448.010.690.49-0.058-3436.37
8-14235648183037.59793.7626431.24-10621.47-38578.540.920.55-0.046-2965.76
9-10998448212743.7510089.3237209.94-11920.74-40873.890.850.66-0.033-2291.34
10-10521148202841.6711677.6233235.94-12098.69-41675.880.970.69-0.029-2191.89

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.73. This strategy is not profitable and we advice you not to use it.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
200nil32.2118461.9677215627.278872.311651.93-2997.43-3959.362.961.110.0091239.77
200trail31.9113717.4178215726.928211.6611651.93-2784.69-3959.362.951.090.0071175.86
atrnil25.384867.4853183533.9614709.0224740.59-7425.57-12796.121.981.020.001791.84
200nil21.81-25381.1677235429.875942.527767.96-3001.09-3959.361.980.84-0.016-329.63
200trail-12.59-25650.4976175922.378068.6229075-2759.61-3959.362.920.84-0.012-337.51
atrtrail23.92-40854.1862174527.4212474.1524740.59-5620.33-11813.142.220.84-0.015-658.94
200trail21.7-34317.7779225727.855642.487767.96-2779.87-3959.362.030.78-0.023-434.4
atrnil38.51-74881.9749103920.412168032608.53-7479.03-12796.122.90.74-0.026-1528.2
nilnil-11-23904.9948153331.254241.3816018.55-2652.29-10564.161.60.73-0.022-498.02
atrtrail34.76-79028.1362174527.4210228.6226645.76-5620.33-11813.141.820.69-0.031-1274.65
atrtrail-14.92-80022.2162174527.4210170.1529795.3-5620.33-11813.141.810.68-0.031-1290.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0091, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Mar 2019 (5.51%), 30 Apr 2019 (-1.53%), 31 May 2019 (-1.39%)
2018505 Feb 2018 (-1.3%), 08 Feb 2018 (-1.98%), 09 Feb 2018 (3.96%), 15 Feb 2018 (-1.91%), 26 Feb 2018 (-1.43%)
2017518 Jan 2017 (-1.64%), 20 Jul 2017 (-1.64%), 24 Jul 2017 (-1.44%), 31 Oct 2017 (-1.66%), 02 Nov 2017 (3.53%)
20161023 Aug 2016 (-1.01%), 24 Aug 2016 (3.51%), 01 Sep 2016 (4.01%), 29 Sep 2016 (4.22%), 13 Oct 2016 (-1.95%), 17 Oct 2016 (4.94%), 21 Nov 2016 (-1.13%), 29 Nov 2016 (-1.56%), 05 Dec 2016 (-1.17%), 08 Dec 2016 (-1.01%)
2015304 Jun 2015 (-1.56%), 12 Jun 2015 (-1.37%), 13 Aug 2015 (-1.68%)
2014308 Jan 2014 (5.83%), 05 Feb 2014 (-1.5%), 26 Sep 2014 (-1.73%)
2013701 Jan 2013 (5.22%), 10 Jan 2013 (-1.88%), 22 Jan 2013 (-1.81%), 25 Jan 2013 (-1.51%), 31 Jan 2013 (-1.12%), 10 Dec 2013 (-1.39%), 18 Dec 2013 (-1.08%)
2012619 Oct 2012 (-1.18%), 22 Oct 2012 (-1.01%), 26 Oct 2012 (-1.36%), 03 Dec 2012 (-1.32%), 11 Dec 2012 (-1.85%), 19 Dec 2012 (-1.19%)
2010514 May 2010 (-1.75%), 31 May 2010 (-1.37%), 06 Jul 2010 (3.93%), 31 Aug 2010 (5.06%), 28 Oct 2010 (-1.73%)
2009130 Mar 2009 (5.6%)
2008105 Mar 2008 (-1.95%)
2007226 Mar 2007 (-1.7%), 03 Apr 2007 (3.51%)
2004302 Jul 2004 (-1.22%), 03 Aug 2004 (5.02%), 18 Aug 2004 (-1.08%)
2003103 Jan 2003 (-1.7%)
2002406 Dec 2002 (-1.56%), 19 Dec 2002 (-1.55%), 23 Dec 2002 (-1.45%), 26 Dec 2002 (3.25%)
2001631 Jul 2001 (-1.51%), 02 Aug 2001 (4.29%), 21 Nov 2001 (4.43%), 22 Nov 2001 (-1.41%), 26 Nov 2001 (-1.5%), 11 Dec 2001 (-1.94%)
2000215 Nov 2000 (3.52%), 16 Nov 2000 (-1.17%)
1999506 Jan 1999 (4.09%), 21 Jan 1999 (-1.62%), 17 Jun 1999 (-1.49%), 24 Jun 1999 (5.67%), 01 Nov 1999 (-1.78%)
1998423 Mar 1998 (-1.35%), 26 Mar 1998 (-1.44%), 31 Mar 1998 (4.06%), 29 May 1998 (-1.93%)
1997107 Nov 1997 (-1.46%)



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